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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March E-mini DJIA Index(CBOT) as of Sep 16, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 21 21 22 22 23 24 25 25 25 25
Closed Higher   18 12 10 14 14 11 16 19 19 11 15
Exceeded High   15 10 9 11 11 10 16 17 17 9 12
Scenario Percentage   83% 83% 90% 79% 79% 91% 100% 89% 89% 82% 80%
Avg Max Increase   3.89% 4.31% 4.27% 4.87% 4.04% 6.87% 5.97% 4.98% 4.66% 4.74% 3.10%
Max Increase   13.94% 8.90% 11.19% 10.07% 7.06% 19.70% 12.55% 9.91% 8.49% 6.92% 6.66%
Avg Days To Max Increase   11 23 18 18 15 19 21 19 18 16 11
Avg Max Decline   -0.91% -2.12% -1.39% -1.35% -1.81% -1.91% -1.49% -1.48% -1.51% -0.72% -0.75%
Max Decline   -7.15% -4.56% -3.55% -4.88% -7.04% -4.85% -6.33% -4.91% -7.11% -2.72% -2.12%
Avg Days to Max Decline   7 18 14 11 11 4 12 11 9 7 2
2022 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes    
Action   Yes Yes Yes Yes Yes   Yes   Yes    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 21 21 22 22 23 24 25 25 25 25
Closed Lower   3 9 11 8 8 12 8 6 6 14 10
Penetrated Low   1 7 8 7 4 9 5 3 5 9 7
Scenario Percentage   33% 78% 73% 88% 50% 75% 63% 50% 83% 64% 70%
Avg Max Decline   3.90% 5.00% 5.55% 9.61% 8.55% 7.89% 10.27% 7.15% 10.87% 9.12% 7.74%
Max Decline   3.90% 13.66% 13.38% 24.83% 20.53% 31.84% 20.24% 15.12% 19.65% 28.85% 20.90%
Avg Days To Max Decline   17 9 14 14 9 15 19 22 21 9 12
Avg Max Increase   0.09% -0.28% -1.48% -1.40% -2.06% -1.70% -2.57% -4.89% -2.79% -2.08% -2.03%
Max Increase   0.09% -3.29% -3.96% -6.38% -5.44% -4.31% -4.75% -7.14% -6.40% -4.78% -6.75%
Avg Days to Max Increase   5 5 6 6 8 9 6 17 7 5 5
2022 Contract Condition             Yes   Yes   Yes Yes
Action             Yes   Yes   Yes Not Yet
High 32726 33771 34387 34394 34839 35342 35237 35689 36353 36572 36832 35752
Low 31996 32726 33219 32807 33508 34329 33394 33300 34305 33855 33031 32167
Close/Last 32583 33454 34159 34185 34643 35104 33627 35620 34377 36226 34997 33840

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